Business Confidence and Cyclical Turning Points: A Markov-Switching Approach
AbstractMarkov regime-switching analysis is used to consider the relationship between business confidence and the probability of turning points in cyclical GDP. We find, in an application to New Zealand, that confidence is related to both the deepness and duration of the business cycle and is asymmetric regarding the probability of the economy remaining in a given regime. Overall, the New Zealand business confidence series is a useful indicator of cyclical turning points.
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Bibliographic InfoPaper provided by University of Waikato, Department of Economics in its series Working Papers in Economics with number 07/19.
Length: 10 pages
Date of creation: 01 Sep 2007
Date of revision:
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More information through EDIRC
business confidence; business cycle; Markov-switching; New Zealand;
Other versions of this item:
- Mark Holmes & Brian Silverstone, 2010. "Business confidence and cyclical turning points: a Markov-switching approach," Applied Economics Letters, Taylor & Francis Journals, vol. 17(3), pages 229-233.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Abdul Abiad, 2003. "Early Warning Systems: A Survey and a Regime-Switching Approach," IMF Working Papers 03/32, International Monetary Fund.
- Karl Taylor & Robert McNabb, 2007.
"Business Cycles and the Role of Confidence: Evidence for Europe,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 69(2), pages 185-208, 04.
- Bob McNabb & Karl Taylor, 2002. "Business Cycles and the Role of Confidence: Evidence from Europe," Discussion Papers in Economics 02/3, Department of Economics, University of Leicester.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
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